M Options History — June 2007

In June 2007, M traded between $38.43 and $41.43. ATM implied volatility averaged 24.3%. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 7.7% (HV 20d: 32.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2007-06-22: Highest Volume — 139,503 contracts
  • 2007-06-22: Largest IV spike — 138.6% change
  • 2007-06-22: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.46$38.43$41.43$40.58$39.78
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV24.3%17.8%42.5%22.9%30.6%
Expected Move6.8%5.1%12.2%6.6%8.8%
HV 20d32.0%30.8%32.9%32.4%30.8%
Term Structure3.2%-7.7%6.2%-0.2%3.3%
VWIV24.7%18.3%41.9%23.1%35.2%
Skew 25d0.1%-10.0%5.9%3.9%-9.2%
Skew 10d0.2%-24.6%13.6%7.2%-15.9%
Call IV 25d24.4%15.5%44.9%20.6%38.9%
Put IV 25d24.5%20.6%37.7%24.5%29.7%
Bid-Ask Spread %13.837.0621.2616.9815.44
Gamma HHI0.280.180.880.280.20
Net GEX1.2M-69.3M12.6M1.4M9.9M
Net DEX-21.4M-150.7M64.0M-42.9M-105.4M
Net VEX-1.1M-1.6M-616.1K-807.0K-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.094.730.480.51
Total Volume15,444.7141,370139,5033,21322,451
Total OI185,493.71476,133258,17576,133258,175

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$40.58$0.0022.9%6.6%0.0%0.0%23.1%3.9%-0.2%1.4M-42.9M-807.0K0.4816.98N/AN/A2,1641,04948,64727,486
2007-06-04$40.23$40.0024.3%6.8%0.0%0.0%22.2%2.8%1.5%-1.1M-17.1M-1.2M0.6411.74N/AN/A1,38989099,00172,813
2007-06-05$40.07$40.0023.7%6.8%0.0%0.0%21.9%3.8%1.5%-69.3M-27.9M-1.1M4.7315.76N/AN/A2391,13199,18573,019
2007-06-06$39.50$40.0024.1%6.7%0.0%0.0%23.8%2.9%1.7%1.6M58.4M-1.1M1.1413.24N/AN/A69379399,23672,871
2007-06-07$38.43$40.0027.0%7.3%0.0%0.0%24.2%1.6%2.5%-1.8M64.0M-1.0M0.6310.67N/AN/A8,5605,40599,43272,958
2007-06-08$39.15$40.0022.6%6.3%0.0%0.0%22.0%3.1%3.7%-2.1M39.7M-1.1M0.1611.36N/AN/A9,1771,434104,77276,404
2007-06-11$39.11$40.0019.3%6.1%0.0%0.0%21.4%3.1%4.8%2.1M63.0M-616.1K0.1412.28N/AN/A8,9391,25576,03951,531
2007-06-12$38.90$40.0026.2%6.1%0.0%0.0%21.5%2.8%4.9%3.1M44.5M-1.1M2.9415.91N/AN/A7962,342119,57076,837
2007-06-13$39.13$40.0024.1%5.9%0.0%0.0%20.4%2.6%5.1%4.0M37.3M-1.1M0.0912.87N/AN/A3,009280119,58878,393
2007-06-14$39.45$40.0020.4%5.9%0.0%0.0%20.3%2.8%5.1%368.3K-6.6M-1.1M0.648.47N/AN/A1,114714120,25176,516
2007-06-15$38.95$40.0018.2%5.2%0.0%0.0%18.3%3.2%5.9%5.9M34.9M-1.1M0.307.60N/AN/A8,0762,385121,35276,670
2007-06-18$38.89$40.0018.0%5.2%0.0%0.0%19.3%5.9%6.2%6.6M-28.7M-1.1M1.5215.95N/AN/A1,2631,923110,56352,936
2007-06-19$38.65$40.0020.1%5.8%0.0%0.0%19.4%4.4%5.3%5.9M-19.1M-1.0M0.697.06N/AN/A917629110,61754,367
2007-06-20$38.58$40.0020.7%5.9%0.0%0.0%21.6%2.6%4.0%5.9M-18.1M-1.0M0.1517.88N/AN/A4,064606111,27954,581
2007-06-21$38.87$40.0017.8%5.1%0.0%0.0%18.7%4.4%5.8%6.4M-24.7M-1.1M0.169.16N/AN/A1,555245111,18254,878
2007-06-22$41.43$40.0042.5%12.2%32.4%0.0%41.9%-7.1%-7.7%6.1M-148.4M-1.3M0.1512.60N/AN/A121,30218,201111,40254,967
2007-06-25$40.54$40.0027.2%7.8%32.6%0.0%33.7%-10.0%2.1%12.6M-150.7M-1.4M1.2121.26N/AN/A11,83414,294162,37461,962
2007-06-26$39.59$40.0026.5%7.6%32.9%0.0%31.3%-7.7%3.5%9.2M-74.9M-1.3M1.4816.30N/AN/A12,12517,975155,48869,821
2007-06-27$39.19$40.0028.3%8.1%32.0%0.0%30.8%-6.8%3.8%7.5M-44.0M-1.4M0.5316.72N/AN/A17,5719,317159,88781,182
2007-06-28$39.67$40.0025.8%7.4%31.6%0.0%26.8%-7.8%5.0%9.9M-83.5M-1.5M0.3821.18N/AN/A4,5151,718169,31987,817
2007-06-29$39.78$40.0030.6%8.8%30.8%0.0%35.2%-9.2%3.3%9.9M-105.4M-1.6M0.5115.44N/AN/A14,8317,620170,51787,658